Vincent Bogousslavsky

Vincent Bogousslavsky

Assistant Professor of Finance
Boston College
Carroll School of Management

Data

Informed trading data

Informed trading intensity (ITI) measures are at the stock by day level and are designed to study how informed trading changes in a given stock over time.

Current data (1/1993-7/2021)

Reference:

  • Bogousslavsky V., Muravyev D., and V. Fos. “Informed Trading Intensity.” Journal of Finance, forthcoming.

High-frequency order imbalance volatility data

We compute share imbalance as a proportion of shares outstanding over every five-minute interval of the trading day using the Lee and Ready (1991) algorithm. High-frequency order imbalance volatility (HFOIV ) is the standard deviation of the five-minute imbalance, computed over the trading day.

Current data (2002-2017):

Reference:

  • Bogousslavsky V., and P. Collin-Dufresne. “Liquidity, Volume, and Order Imbalance Volatility.” Journal of Finance, 2023, 78(4): 2189-2232.

Auction volume and price deviation data

The sample covers common stocks listed on the NYSE and Nasdaq with a price greater than USD 5 and a market capitalization greater than USD 100 million at the beginning of a month.

Current data (2010-2018):

  • Variables: share volume between 3:55pm and 4:00pm, share volume executed in the auction, auction price deviation
  • Link: Auction data

Reference:

  • Bogousslavsky V., and D. Muravyev. “Who Trades at the Close? Implications for Price Discovery and Liquidity.” Journal of Financial Markets, forthcoming.